Moments Of First-passage Time Research Articles

Exact solutions and asymptotic behaviors for the reflected Wiener, Ornstein-Uhlenbeck and Feller diffusion processes.

We analyze the transition probability density functions in the presence of a zero-flux condition in the zero-state and their asymptotic behaviors for the Wiener, Ornstein Uhlenbeck and Feller diffusion processes. Particular attention is paid to the time-inhomogeneous proportional cases and to the time-homogeneous cases. A detailed study of the moments of first-passage time and of their asymptotic behaviors is carried out for the time-homogeneous cases. Some relationships between the transition probability density functions for the restricted Wiener, Ornstein-Uhlenbeck and Feller processes are proved. Specific applications of the results to queueing systems are provided.

Universal tradeoff relation between speed, uncertainty, and dissipation in nonequilibrium stationary states

We derive universal thermodynamic inequalities that bound from below the moments of first-passage times of stochastic currents in nonequilibrium stationary states of Markov jump processes in the limit where the two thresholds that define the first-passage problem are large. These inequalities describe a tradeoff between speed, uncertainty, and dissipation in nonequilibrium processes, which are quantified, respectively, with the moments of the first-passage times of stochastic currents, the splitting probability of the first-passage problem, and the mean entropy production rate. Near equilibrium, the inequalities imply that mean first-passage times are lower bounded by the Van't Hoff-Arrhenius law, whereas far from thermal equilibrium the bounds describe a universal speed limit for rate processes. When the current is proportional to the stochastic entropy production, then the bounds are equalities, a remarkable property that follows from the fact that the exponentiated negative entropy production is a martingale.

On First-Passage Times and Sojourn Times in Finite QBD Processes and Their Applications in Epidemics

In this paper, we revisit level-dependent quasi-birth-death processes with finitely many possible values of the level and phase variables by complementing the work of Gaver, Jacobs, and Latouche (Adv. Appl. Probab. 1984), where the emphasis is upon obtaining numerical methods for evaluating stationary probabilities and moments of first-passage times to higher and lower levels. We provide a matrix-analytic scheme for numerically computing hitting probabilities, the number of upcrossings, sojourn time analysis, and the random area under the level trajectory. Our algorithmic solution is inspired from Gaussian elimination, which is applicable in all our descriptors since the underlying rate matrices have a block-structured form. Using the results obtained, numerical examples are given in the context of varicella-zoster virus infections.

The mean and noise of FPT modulated by promoter architecture in gene networks

Increasing experimental evidences suggest that cell phenotypic variation often depends on the accumulation of some special proteins. Recently, a lot of studies have shown that the complexity of promoter architecture plays a major role in regulating transcription and controlling expression dynamics and further phenotype. One unanswered question is why the organism chooses such a complex promoter architecture and how the promoter architecture affects the timing of proteins amount up to a given threshold. To address this issue, we study the effect of promoter architecture on the first-passage time (FPT) by formulating a multi-state gene model, that may reflect the complexity of promoter architecture. We derive analytical formulae for FPT moments in each case of irreversible promoter and reversible promoter regulation, which is the first time to give these analytical results in the existing literature. We show that the mean and noise of FPT increase with the state number of promoter architecture if the mean residence time at $ off$ states is not fixed. Inversely, if the mean residence time at $ off$ states is fixed, then complex promoter architecture will not vary the mean of FPT but will tend to decrease the noise of FPT. Our results show that, in the same inactive promoter states, the noise of FPT with promoters in irreversible case is always less than that in reversible case. In conclusion, our results reveal the effect of the promoter architecture on FPT and enhance understanding of the regulation mechanism of gene expression.

Reliability Estimation of Stochastic Dynamical Systems with Fractional Order PID Controller

In this paper, the reliability of stochastic dynamical systems under Gaussian white noise excitations with fractional order proportional–inegral–derivative (FOPID) controller is estimated. First, the FOPID controller is approximated by a set of combination of displacement and velocity based on the generalized van der Pol transformation. Then, the stochastic averaging method of energy envelope is applied to obtain a diffusive differential equation, from which the Backward Kolmogorov equation, governing the conditional reliability function, and the Generalized Pontryagin equation, governing the statistical moments of first-passage time, are derived from the averaged equation and solved numerically. Finally, in the two examples, the critical parameters in the FOPID controller are shown to be capable of improving the reliability of the stochastic dynamical system apparently, and all numerical results are verified to be efficient and correct by the Monte Carlo simulation.

Evolution of moments and correlations in nonrenewal escape-time processes.

The theoretical description of nonrenewal stochastic systems is a challenge. Analytical results are often not available or can be obtained only under strong conditions, limiting their applicability. Also, numerical results have mostly been obtained by ad hoc Monte Carlo simulations, which are usually computationally expensive when a high degree of accuracy is needed. To gain quantitative insight into these systems under general conditions, we here introduce a numerical iterated first-passage time approach based on solving the time-dependent Fokker-Planck equation (FPE) to describe the statistics of nonrenewal stochastic systems. We illustrate the approach using spike-triggered neuronal adaptation in the leaky and perfect integrate-and-fire model, respectively. The transition to stationarity of first-passage time moments and their sequential correlations occur on a nontrivial time scale that depends on all system parameters. Surprisingly this is so for both single exponential and scale-free power-law adaptation. The method works beyond the small noise and time-scale separation approximations. It shows excellent agreement with direct Monte Carlo simulations, which allow for the computation of transient and stationary distributions. We compare different methods to compute the evolution of the moments and serial correlation coefficients (SCCs) and discuss the challenge of reliably computing the SCCs, which we find to be very sensitive to numerical inaccuracies for both the leaky and perfect integrate-and-fire models. In conclusion, our methods provide a general picture of nonrenewal dynamics in a wide range of stochastic systems exhibiting short- and long-range correlations.

Modulation of first-passage time for bursty gene expression via random signals.

The stochastic nature of cell-specific signal molecules (such as transcription factor, ribosome, etc.) and the intrinsic stochastic nature of gene expression process result in cell-to-cell variations at protein levels. Increasing experimental evidences suggest that cell phenotypic variations often depend on the accumulation of some special proteins. Hence, a natural and fundamental question is: How does input signal affect the timing of protein count up to a given threshold? To this end, we study effects of input signal on the first-passage time (FPT), the time at which the number of proteins crosses a given threshold. Input signal is distinguished into two types: constant input signal and random input signal, regulating only burst frequency (or burst size) of gene expression. Firstly, we derive analytical formulae for FPT moments in each case of constant signal regulation and random signal regulation. Then, we find that random input signal tends to increases the mean and noise of FPT compared with constant input signal. Finally, we observe that different regulation ways of random signal have different effects on FPT, that is, burst size modulation tends to decrease the mean of FPT and increase the noise of FPT compared with burst frequency modulation. Our findings imply a fundamental mechanism that random fluctuating environment may prolong FPT. This can provide theoretical guidance for studies of some cellular key events such as latency of HIV and lysis time of bacteriophage λ. In conclusion, our results reveal impacts of external signal on FPT and aid understanding the regulation mechanism of gene expression.

Exponential moments of first passage times and related quantities for Lévy processes

For a Levy process on the real line, we provide complete criteria for the finiteness of exponential moments of the first passage time into the interval , the sojourn time in the interval , and the last exit time from . Moreover, whenever these quantities are finite, we derive their respective asymptotic behavior as .

First passage of stochastic fractional derivative systems with power-form restoring force

In this paper, the first-passage failure of stochastic dynamical systems with fractional derivative and power-form restoring force subjected to Gaussian white-noise excitation is investigated. With application of the stochastic averaging method of quasi-Hamiltonian system, the system energy process will converge weakly to an Itô differential equation. After that, Backward Kolmogorov (BK) equation associated with conditional reliability function and Generalized Pontryagin (GP) equation associated with statistical moments of first-passage time are constructed and solved. Particularly, the influence on reliability caused by the order of fractional derivative and the power of restoring force are also examined, respectively. Numerical results show that reliability function is decreased with respect to the time. Lower power of restoring force may lead the system to more unstable evolution and lead first passage easy to happen. Besides, more viscous material described by fractional derivative may have higher reliability. Moreover, the analytical results are all in good agreement with Monte-Carlo data.

Stochastic holin expression can account for lysis time variation in the bacteriophageλ

The inherent stochastic nature of biochemical processes can drive differences in gene expression between otherwise identical cells. While cell-to-cell variability in gene expression has received much attention, randomness in timing of events has been less studied. We investigate event timing at the single-cell level in a simple system, the lytic pathway of the bacterial virus phage λ. In individual cells, lysis occurs on average at 65 min, with an s.d. of 3.5 min. Interestingly, mutations in the lysis protein, holin, alter both the lysis time (LT) mean and variance. In our analysis, LT is formulated as the first-passage time (FPT) for cellular holin levels to cross a critical threshold. Exact analytical formulae for the FPT moments are derived for stochastic gene expression models. These formulae reveal how holin transcription and translation efficiencies independently modulate the LT mean and variation. Analytical expressions for the LT moments are used to evaluate previously published single-cell LT data for λ phages with mutations in the holin sequence or its promoter. Our results show that stochastic holin expression is sufficient to account for the intercellular LT differences in both wild-type phages, and phage variants where holin transcription and the threshold for lysis have been experimentally altered. Finally, our analysis reveals regulatory motifs that enhance the robustness of lysis timing to cellular noise.

First-passage failure of a business cycle model under time-delayed feedback control and wide-band random excitation

First-passage failure of a classical business cycle model subject to time-delayed feedback control and wide-band random excitation is investigated in this paper. First, we get the averaged equation by using a stochastic averaging method, and then a backward Kolmogorov equation governing the conditional reliability function and a set of generalized Pontryagin equations governing the conditional moments of first-passage time are established. The conditional reliability function, the conditional probability density and moments of first-passage time are obtained by solving the backward Kolmogorov equation and generalized Pontryagin equations analytically and numerically with suitable initial and boundary conditions. The results show that time delay in the feedback control forces may remarkably reduce the conditional reliability and the mean first-passage time of the controlled economics system.

Using differential equations to obtain joint moments of first-passage times of increasing Lévy processes

Let { D ( s ) , s ≥ 0 } be a Lévy subordinator, that is, a non-decreasing process with stationary and independent increments and suppose that D ( 0 ) = 0 . We study the first-hitting time of the process D , namely, the process E ( t ) = inf { s : D ( s ) > t } , t ≥ 0 . The process E is, in general, non-Markovian with non-stationary and non-independent increments. We derive a partial differential equation for the Laplace transform of the n -time tail distribution function P [ E ( t 1 ) > s 1 , … , E ( t n ) > s n ] . This PDE can be used to derive all n -time moments of the process E . As an application, we give a recursive formula for multiple-time moments of the local time of a Markov process in terms of its transition density.

Exponential Moments of First Passage Times and Related Quantities for Random Walks

For a zero-delayed random walk on the real line, let $\tau(x)$, $N(x)$ and $\rho(x)$ denote the first passage time into the interval $(x,\infty)$, the number of visits to the interval $(-\infty,x]$ and the last exit time from $(-\infty,x]$, respectively. In the present paper, we provide ultimate criteria for the finiteness of exponential moments of these quantities. Moreover, whenever these moments are finite, we derive their asymptotic behaviour, as $x \to \infty$.

First-passage failure of strongly non-linear oscillators with time-delayed feedback control under combined harmonic and wide-band noise excitations

A procedure for studying the first-passage failure of strongly non-linear oscillators with time-delayed feedback control under combined harmonic and wide-band noise excitations is proposed. First, the time-delayed feedback control forces are expressed approximately in terms of the system state variables without time delay. Then, the averaged Itô stochastic differential equations for the system are derived by using the stochastic averaging method. A backward Kolmogorov equation governing the conditional reliability function and a set of generalized Pontryagin equations governing the conditional moments of first-passage time are established. Finally, the conditional reliability function, the conditional probability density and moments of first-passage time are obtained by solving the backward Kolmogorov equation and generalized Pontryagin equations with suitable initial and boundary conditions. An example is worked out in detail to illustrate the proposed procedure. The effects of time delay in feedback control forces on the conditional reliability function, conditional probability density and moments of first-passage time are analyzed. The validity of the proposed method is confirmed by digital simulation.

First-passage failure of quasi linear systems subject to multi-time-delayed feedback control and wide-band random excitation

A procedure for studying the first-passage failure of quasi-linear systems subject to multi-time-delayed feedback control and wide-band random excitation is proposed. The stochastic averaging method for quasi-integrable Hamiltonian systems is first introduced. The backward Kolmogorov equation governing the conditional reliability function and a set of generalized Pontryagin equations governing the conditional moments of first-passage time are then established. The conditional reliability function, the conditional probability density and moments of first-passage time are obtained by solving the backward Kolmogorov equation and generalized Pontryagin equations with suitable initial and boundary conditions. An example is given to illustrate the proposed procedure and the results from digital simulation are obtained to verify the effectiveness of the proposed procedure. The effects of time delay in feedback control forces on the conditional reliability function, conditional probability density and moments of first-passage time are analyzed.

First-passage failure of quasi-integrable Hamiltonian systems under time-delayed feedback control

A procedure for studying the first-passage failure of quasi-integrable Hamiltonian systems under time-delayed feedback control is proposed. The stochastic averaging method for quasi-integrable Hamiltonian systems under time-delayed feedback control is firstly introduced. A backward Kolmogorov equation governing the conditional reliability function and a set of generalized Pontryagin equations governing the conditional moments of first-passage time are then established. The conditional reliability function, the conditional probability density and moments of first-passage time are obtained by solving the backward Kolmogorov equation and generalized Pontryagin equations with suitable initial and boundary conditions. An example is given to illustrate the proposed procedure and the results from digital simulation are obtained to verify the effectiveness of the proposed procedure. The effects of time delay in feedback control forces on the conditional reliability function, conditional probability density and moments of first-passage time are analyzed.

First-passage failure of strongly nonlinear oscillators under combined harmonic and real noise excitations

First-passage failure of strongly nonlinear oscillators under combined harmonic and real noise excitations is studied. The motion equation of the system is reduced to a set of averaged Ito stochastic differential equations by stochastic averaging in the case of resonance. Then, the backward Kolmogorov equation governing the conditional reliability function and a set of generalized Pontryagin equations governing the conditional moments of first-passage time are established. Finally, the conditional reliability function and the conditional probability density and mean first-passage time are obtained by solving the backward Kolmogorov equation and Pontryagin equation with suitable initial and boundary conditions. The procedure is applied to Duffing–van der Pol system in resonant case and the analytical results are verified by Monte Carlo simulation.

Moments of first passage times in general birth–death processes

We consider ordinary and conditional first passage times in a general birth–death process. Under existence conditions, we derive closed-form expressions for the kth order moment of the defined random variables, k ≥ 1. We also give an explicit condition for a birth–death process to be ergodic degree 3. Based on the obtained results, we analyze some applications for Markovian queueing systems. In particular, we compute for some non-standard Markovian queues, the moments of the busy period duration, the busy cycle duration, and the state-dependent waiting time in queue.

Single Molecule Electron Transfer Dynamics in Complex Environments

We propose a new theoretical approach to study the kinetics of the electron transfer (ET) under the dynamical influence of the complex environments with the first passage times (FPT) of the reaction events. By measuring the mean and high order moments of FPT and their ratios, the full kinetics of ET, especially the dynamical transitions across different temperature zones, is revealed. The potential applications of the current results to single molecule electron transfer are discussed.

Computing Moments of First Passage Times to a Subset of States in Markov Chains

This paper presents a relatively efficient and accurate method to compute the moments of first passage times to a subset of states in finite ergodic Markov chains. With the proposed method, the moment computation problem is reduced to the solution of a linear system of equations with the right-hand side governed by a novel recurrence for computing the higher-order moments. We propose using a form of the Grassmann--Taksar--Heyman (GTH) algorithm to solve these linear equations. Due to the form of the linear systems involved, the proposed method does not suffer from the drawbacks associated with GTH in a row-wise sparse implementation.